| 摘要 |
<P>PROBLEM TO BE SOLVED: To provide a bond execution evaluation system, a bond execution evaluation method and a bond execution evaluation program for evaluating the appropriateness of the bargain price of a bond by calculating the executing cost of bond trading. <P>SOLUTION: A bond execution evaluation system 20 has a control part 21 for performing: specifying a closing-value yield change that is closer to the closing value of a bond, out of the closing-value yield change of the bond according to a government bond future model calculated by using the government bond future price at the closing value on the trading day of the bargain transaction and the closing-value yield change of the bond according to a swap model calculated by using the swap rate at the trading closing-reference clock time of the trading day; adding an error adjustment value to the change value of a model (i.e., the government bond future model or the swap model) closer to the closing value of the bond to thereby calculate a model value at the bargaining date/time; calculating an inquiry cost by subtracting the calculated model value from a bargained price; and executing a report output process including the aforementioned calculation. <P>COPYRIGHT: (C)2013,JPO&INPIT |
